Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0637
Annualized Std Dev 0.3217
Annualized Sharpe (Rf=0%) -0.1981

Row

Daily Return Statistics

Close
Observations 3332.0000
NAs 1.0000
Minimum -0.1975
Quartile 1 -0.0094
Median 0.0007
Arithmetic Mean -0.0001
Geometric Mean -0.0003
Quartile 3 0.0102
Maximum 0.1308
SE Mean 0.0004
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0203
Skewness -0.6412
Kurtosis 8.7365

Downside Risk

Close
Semi Deviation 0.0149
Gain Deviation 0.0134
Loss Deviation 0.0159
Downside Deviation (MAR=210%) 0.0195
Downside Deviation (Rf=0%) 0.0150
Downside Deviation (0%) 0.0150
Maximum Drawdown 0.8906
Historical VaR (95%) -0.0323
Historical ES (95%) -0.0487
Modified VaR (95%) -0.0333
Modified ES (95%) -0.0710
From Trough To Depth Length To Trough Recovery
2008-07-14 2020-04-28 NA -0.8906 3188 2962 NA
2008-03-14 2008-03-19 2008-04-07 -0.1083 16 4 12
2008-01-04 2008-01-24 2008-02-19 -0.1040 30 13 17
2008-05-22 2008-06-04 2008-06-06 -0.0947 11 9 2
2008-07-07 2008-07-09 2008-07-11 -0.0696 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA -0.6 -0.6
2008 -0.7 2 0.6 -1.2 0 0.6 0.6 -1.7 -1 5.7 -3.4 -1.7 -0.6
2009 -1.3 -1 -1.6 3.7 2.8 -0.4 2.2 -2.3 0.4 -3.8 1 -0.1 -0.8
2010 2.5 -0.8 2.2 0.7 -1.6 -2.8 0.7 2.5 1.9 1.4 2.8 2.1 11.9
2011 -0.3 2.9 1.4 0.7 -2.2 -0.1 -0.6 -0.2 -4.5 -1.6 0 -0.5 -5.2
2012 -0.7 1.5 0 0.9 -3.5 7.2 1.4 1.6 0.4 1 0.9 0.7 11.8
2013 0.3 -0.8 0.2 -2.1 -1.5 1.1 1.6 0.1 -0.4 -1.2 0.9 -0.3 -2.1
2014 -0.7 0.3 -1.9 -0.5 -0.4 0 -0.6 0.9 -0.6 -0.2 2.7 0.7 -0.2
2015 5.6 1.4 3.1 0 0.2 -3.3 -2.5 -7 -1 1.3 0 1.7 -0.9
2016 -4.5 0.3 -3.4 0.3 0.8 1.8 -2.8 -2.4 0.6 0.4 2.9 0 -5.9
2017 1.1 -0.1 0.5 -0.4 -0.1 2.7 -1.4 0.1 -0.3 -0.3 1.5 0.2 3.5
2018 2 -0.2 0.4 -1.8 -1.7 1 -1.6 -0.2 2.9 -2.5 -1.3 1.9 -1.3
2019 2.6 -2.1 2 -0.1 -5.7 2.1 -5.5 -2.4 -0.6 2.3 -3.9 -0.7 -11.9
2020 -1.4 -3.1 -2.6 -2.2 1.3 0.9 0.6 0.5 -2.9 -1 -1 0.2 -10.2
2021 2.5 -1.8 3 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-12-06  51.4 SPY    151.  0.0143   0.0255  -0.0074 0.0333     0.0637    0.266    0.633 GLD    79.4  0.0094   0.0139
2 2007-12-07  50.3 SPY    151. -0.0002   0.0151   0.0203 0.0351     0.0644    0.278    0.651 GLD    78.6 -0.0097   0.0166
3 2007-12-10  50.3 SPY    152.  0.0078   0.0298   0.0334 0.0311     0.0774    0.280    0.652 GLD    80    0.0178   0.022 
4 2007-12-11  51.0 SPY    148. -0.0274   0.0106   0.0191 0.000300   0.0459    0.241    0.653 GLD    78.8 -0.0145  -0.0071
5 2007-12-12  53.0 SPY    149.  0.0099   0.0038   0.0395 0.0031     0.0532    0.252    0.647 GLD    80.5  0.0209   0.0237
6 2007-12-13  52.7 SPY    149. -0.0021  -0.0125   0.0066 0.0011     0.0518    0.238    0.642 GLD    78.5 -0.0247  -0.011 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart